Numerical pricing of geometric asian options with barriers-Reference-Cited by-同舟云学术

Numerical pricing of geometric asian options with barriers

Published:2018-07-31 Issue:17 Volume:41 Page:7510-7529
ISSN:0170-4214
Container-title:Mathematical Methods in the Applied Sciences
language:en
Short-container-title:Math Meth Appl Sci

Author:

Aimi Alessandra¹^ORCID,Diazzi Lorenzo²^ORCID,Guardasoni Chiara¹^ORCID

Affiliation:

1. Members of the INdAM-GNCS Research Group, Department of Mathematical Physical and Computer SciencesUniversity of Parma Parma Italy

2. Department of Physics Informatics and MathematicsUniversity of Modena and Reggio Emilia Modena Italy

Funder

GNCS-INdAM

Publisher

Wiley

Subject

General Engineering,General Mathematics

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/mma.5179

Reference19 articles.

1. A pricing method for options based on average asset values

2. Prices and sensitivities of Asian options: A survey

3. Double knock-out Asian barrier options which widen or contract as they approach maturity

4. Semi‐analytical method for the pricing of barrier options in case of time‐dependent parameters (with Matlab® codes);Guardasoni C;Commun Appl Ind Math,2018

5. A boundary element approach to barrier option pricing in Black–Scholes framework

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options;Computers & Mathematics with Applications;2024-08

2. Pricing Problem of Geometric Average Asian Barrier Option Based on Uncertain Fractional Differential Equation;Journal of Uncertain Systems;2022-09-27

3. Existence of a fundamental solution of partial differential equations associated to Asian options;Nonlinear Analysis: Real World Applications;2021-12

4. Multi-Asset Barrier Options Pricing by Collocation BEM (with Matlab® Code);Axioms;2021-11-12

5. Geometric Asian barrier option pricing formulas of uncertain stock model;Chaos, Solitons & Fractals;2020-11